A computer system generally includes one or more processors, a memory and an input/output system. The memory stores data and instructions for processing the data. The processor(s) process the data in accordance with the instructions, and store the processed data in the memory. The input/output system facilitates loading of data and instructions into the system, and obtaining processed data from the system.
Most modern computer systems have been designed around a "von Neumann" paradigm, under which each processor has a program counter that identifies the location in the memory which contains its (the processor's) next instruction. During execution of an instruction, the processor increments the program counter to identify the location of the next instruction to be processed. Processors in such a system may share data and instructions; however, to avoid interfering with each other in an undesirable manner, such systems are typically configured so that the processors process separate instruction streams, that is, separate series of instructions, and sometimes complex procedures are provided to ensure that processors' access to the data is orderly.
In Von Neumann machines instructions in one instruction stream are used to process data in a single data stream. Such machines are typically referred to as SISD (single instruction/multiple data) machines if they have one processor, or MIMD (multiple instruction/multiple data) machines if they have multiple processors. In a number of types of computations, such as processing of arrays of data, the same instruction stream may be used to process data in a number of data streams. For these computations, SISD machines would iteratively perform the same operation or series of operations on the data in each data stream. Recently, single instruction/multiple data (SIMD) machines have been developed which process the data in all of the data streams in parallel. Since SIMD machine process all of the data streams in parallel, such problems can be processed much more quickly than in SISD machines, and at lower cost than with MIMD machines providing the same degree of parallelism.
The aforementioned Hillis patents, disclose an SIMD machine which includes a host computer, a micro-controller and an array of processing elements, each including a bit-serial processor and a memory. The host computer, inter alia, generates commands which are transmitted to the micro-controller. In response to a command, the micro-controller transmits one or more SIMD instructions to the array, each SIMD instruction enabling all of the processing elements to perform the same operation in connection with data stored in the elements' memories.
Digital computers are being used in a number of applications in business, accounting and financial analysis and modeling. See, for example, U.S. Pat. No. 4,648,037, issued Mar. 3, 1987, to Valentino, for Method and Apparatus For Benefit And Financial Communication (assigned to Metropolitan Life Insurance Co.), and U.S. Pat. No. 4,648,038, issued Mar. 3, 1987, to Roberts, et al., for Methods and Apparatus For Restructuring Debt Obligations (assigned to Lazard Freres & Co.).
Models for studying or measuring the evolution of the term structure of interest rates are of central interest in financial modeling applications. Several different systems have been developed for this purpose. One such system involves adaptation of the Monte Carlo simulation method of a diffusion process. A second system involves construction of a binomial lattice. In generating such term structures, it is desirable to generate a large number of interest rate scenarios for use in generating a number of financial models.